Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework
Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework
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DOI：
10.1002/jae.1208
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发表时间：
2012-06
影响因子：
2.1
通讯作者：
Matthew Greenwood‐Nimmo;V. Nguyen;Y. Shin
中科院分区：
文献类型：
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作者：
Matthew Greenwood‐Nimmo;V. Nguyen;Y. Shin
本文运用全球向量自回归（GVAR）模型对33个国家（26个地区）的通货膨胀、产出增长和全球失衡进行了分析。我们通过使用特定国家的截距变化来解释结构性不稳定性，确定截距变化的时间是考虑到统计证据和我们对历史经济状况和事件的了解。使用这个模型，我们计算了一系列感兴趣的事件的中心预测和基于马尔可夫链的概率预测，包括贸易平衡的迹象和轨迹，短期通胀目标的实现，以及衰退和缓慢增长的发生率。GVAR模型在当前金融危机中的预测性能相当显著。它正确地指出了一个明显和广泛的经济萎缩，伴随着欧元区和日本的净贸易平衡的显着变化。此外，这一有前途的样本外预测性能是由大量的统计测试，表明GVAR模型的预测精度大致相当于标准基准模型在短期和上级较长的视野。因此，我们的结论是GVAR模型可能是一个有用的预测工具，在国家和超国家层面的机构运作。
We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for structural instability by use of country-specific intercept shifts, the timings of which are identified taking into account both statistical evidence and our knowledge of historic economic conditions and events. Using this model, we compute both central forecasts and scenario-based probabilistic forecasts for a range of events of interest, including the sign and trajectory of the balance of trade, the achievement of a short-term inflation target, and the incidence of recession and slow growth. The forecasting performance of the GVAR model in relation to the ongoing financial crisis is quite remarkable. It correctly identifies a pronounced and widespread economic contraction accompanied by a marked shift in the net trade balance of the Eurozone and Japan. Moreover, this promising out-of-sample forecasting performance is substantiated by a raft of statistical tests which indicate that the predictive accuracy of the GVAR model is broadly comparable to that of standard benchmark models over short horizons and superior over longer horizons. Hence we conclude that GVAR models may be a useful forecasting tool for institutions operating at both the national and supranational levels.